| Investment Portfolio | as of October 31, 2019 (Unaudited) |
DWS Total Return Bond Fund
| Principal Amount ($) (a) | Value ($) | |||||||||||
| Corporate Bonds 34.7% | ||||||||||||
| Communication Services 4.5% | ||||||||||||
| Amazon.com, Inc., 4.25%, 8/22/2057 | 500,000 | 612,245 | ||||||||||
| AT&T, Inc., 3-month USD-LIBOR + 1.180%, 3.312% **, 6/12/2024 | 2,256,000 | 2,295,203 | ||||||||||
| CCO Holdings LLC, 144A, 5.875%, 5/1/2027 | 890,000 | 943,400 | ||||||||||
| Charter Communications Operating LLC, 3.75%, 2/15/2028 | 560,000 | 576,956 | ||||||||||
| Comcast Corp.: | ||||||||||||
| 2.65%, 2/1/2030 | 494,000 | 500,689 | ||||||||||
| 3.55%, 5/1/2028 | 2,015,000 | 2,175,585 | ||||||||||
| 4.15%, 10/15/2028 | 520,000 | 587,382 | ||||||||||
| 4.6%, 10/15/2038 | 1,110,000 | 1,318,924 | ||||||||||
| Empresa Nacional de Telecomunicaciones SA, REG S, 4.75%, 8/1/2026 | 750,000 | 782,179 | ||||||||||
| Netflix, Inc.: | ||||||||||||
| 5.5%, 2/15/2022 | 2,750,000 | 2,915,000 | ||||||||||
| 5.875%, 11/15/2028 | 1,350,000 | 1,486,688 | ||||||||||
| Symantec Corp., 3.95%, 6/15/2022 | 2,500,000 | 2,569,416 | ||||||||||
| VeriSign, Inc.: | ||||||||||||
| 4.625%, 5/1/2023 | 2,750,000 | 2,798,125 | ||||||||||
| 5.25%, 4/1/2025 | 2,750,000 | 3,011,250 | ||||||||||
| Verizon Communications, Inc., 4.016%, 12/3/2029 | 800,000 | 895,433 | ||||||||||
| 23,468,475 | ||||||||||||
| Consumer Discretionary 2.1% | ||||||||||||
| Ford Motor Credit Co. LLC, 5.584%, 3/18/2024 | 2,189,000 | 2,332,967 | ||||||||||
| General Motors Financial Co., Inc., 4.35%, 4/9/2025 | 2,145,000 | 2,252,996 | ||||||||||
| Hilton Domestic Operating Co., Inc., 4.25%, 9/1/2024 | 900,000 | 915,750 | ||||||||||
| Hyundai Capital America, 144A, 3.5%, 11/2/2026 | 1,700,000 | 1,718,813 | ||||||||||
| Las Vegas Sands Corp., 3.9%, 8/8/2029 | 270,000 | 277,784 | ||||||||||
| Lowe's Companies, Inc., 4.55%, 4/5/2049 | 269,000 | 308,687 | ||||||||||
| Sabre GLBL, Inc., 144A, 5.375%, 4/15/2023 | 900,000 | 923,625 | ||||||||||
| Sands China Ltd., 4.6%, 8/8/2023 | 1,200,000 | 1,269,504 | ||||||||||
| Starbucks Corp., 4.5%, 11/15/2048 | 660,000 | 765,518 | ||||||||||
| 10,765,644 | ||||||||||||
| Consumer Staples 1.3% | ||||||||||||
| Altria Group, Inc.: | ||||||||||||
| 4.8%, 2/14/2029 | 490,000 | 537,935 | ||||||||||
| 5.95%, 2/14/2049 | 340,000 | 399,948 | ||||||||||
| Anheuser-Busch InBev Worldwide, Inc.: | ||||||||||||
| 5.45%, 1/23/2039 | 920,000 | 1,158,423 | ||||||||||
| 5.55%, 1/23/2049 | 581,000 | 767,273 | ||||||||||
| Constellation Brands, Inc., 5.25%, 11/15/2048 | 380,000 | 469,035 | ||||||||||
| Keurig Dr Pepper, Inc.: | ||||||||||||
| 4.057%, 5/25/2023 | 580,000 | 615,050 | ||||||||||
| 4.597%, 5/25/2028 | 790,000 | 895,676 | ||||||||||
| Kraft Heinz Foods Co., 144A, 3.75%, 4/1/2030 | 620,000 | 633,685 | ||||||||||
| Nestle Holdings, Inc., 144A, 4.0%, 9/24/2048 | 575,000 | 677,297 | ||||||||||
| PepsiCo, Inc., 3.375%, 7/29/2049 | 275,000 | 293,586 | ||||||||||
| 6,447,908 | ||||||||||||
| Energy 3.7% | ||||||||||||
| Apache Corp., 4.375%, 10/15/2028 | 960,000 | 952,576 | ||||||||||
| Canadian Natural Resources Ltd., 3.85%, 6/1/2027 | 1,445,000 | 1,529,069 | ||||||||||
| Cheniere Corpus Christi Holdings LLC, 7.0%, 6/30/2024 | 600,000 | 690,048 | ||||||||||
| Cheniere Energy Partners LP, 5.625%, 10/1/2026 | 3,550,000 | 3,749,687 | ||||||||||
| Devon Energy Corp., 5.0%, 6/15/2045 | 1,020,000 | 1,160,534 | ||||||||||
| Empresa Nacional del Petroleo, 144A, 5.25%, 11/6/2029 | 1,568,000 | 1,767,095 | ||||||||||
| Energy Transfer Operating LP: | ||||||||||||
| 4.05%, 3/15/2025 | 1,500,000 | 1,574,897 | ||||||||||
| 4.25%, 3/15/2023 | 2,150,000 | 2,253,681 | ||||||||||
| Enterprise Products Operating LLC, 4.2%, 1/31/2050 | 738,000 | 780,445 | ||||||||||
| Exxon Mobil Corp., 2.44%, 8/16/2029 | 871,000 | 877,600 | ||||||||||
| Hess Corp., 5.8%, 4/1/2047 | 825,000 | 958,457 | ||||||||||
| Kinder Morgan, Inc., 5.2%, 3/1/2048 | 635,000 | 722,343 | ||||||||||
| MPLX LP, 5.5%, 2/15/2049 | 795,000 | 893,502 | ||||||||||
| Occidental Petroleum Corp., 3.5%, 8/15/2029 | 664,000 | 672,812 | ||||||||||
| TransCanada PipeLines Ltd, 5.1%, 3/15/2049 | 520,000 | 624,267 | ||||||||||
| 19,207,013 | ||||||||||||
| Financials 8.9% | ||||||||||||
| Air Lease Corp., 4.625%, 10/1/2028 | 775,000 | 858,991 | ||||||||||
| Aircastle Ltd., 4.4%, 9/25/2023 | 1,214,000 | 1,276,259 | ||||||||||
| ANZ New Zealand Int'l Ltd., 144A, 3.4%, 3/19/2024 | 682,000 | 714,184 | ||||||||||
| ASB Bank Ltd., 144A, 3.75%, 6/14/2023 | 1,064,000 | 1,117,870 | ||||||||||
| Banco de Credito e Inversiones SA, 144A, 3.5%, 10/12/2027 | 300,000 | 312,078 | ||||||||||
| Banco Santander SA, 2.706%, 6/27/2024 | 3,000,000 | 3,046,511 | ||||||||||
| Bank of America Corp.: | ||||||||||||
| 2.884%, 10/22/2030 | 1,290,000 | 1,297,390 | ||||||||||
| 3.824%, 1/20/2028 | 3,934,000 | 4,233,586 | ||||||||||
| Bank of New Zealand, 144A, 3.5%, 2/20/2024 | 1,200,000 | 1,256,990 | ||||||||||
| BPCE SA, 144A, 4.625%, 9/12/2028 | 1,050,000 | 1,181,932 | ||||||||||
| Citigroup, Inc.: | ||||||||||||
| 2.976%, 11/5/2030 (b) | 570,000 | 574,803 | ||||||||||
| 3.2%, 10/21/2026 | 1,000,000 | 1,037,118 | ||||||||||
| 3.98%, 3/20/2030 | 755,000 | 823,028 | ||||||||||
| 5.5%, 9/13/2025 | 1,500,000 | 1,715,910 | ||||||||||
| Credit Suisse Group AG: | ||||||||||||
| 144A, 2.593%, 9/11/2025 | 450,000 | 448,446 | ||||||||||
| 144A, 4.282%, 1/9/2028 | 570,000 | 619,514 | ||||||||||
| Credit Suisse Group Funding Guernsey Ltd., 4.55%, 4/17/2026 | 850,000 | 939,216 | ||||||||||
| Discover Bank, 2.45%, 9/12/2024 | 770,000 | 771,367 | ||||||||||
| Fairfax Financial Holdings Ltd., 4.85%, 4/17/2028 | 656,000 | 714,453 | ||||||||||
| GE Capital International Funding Co., Unlimited Co., 4.418%, 11/15/2035 | 555,000 | 585,773 | ||||||||||
| Hartford Financial Services Group, Inc., 2.8%, 8/19/2029 | 430,000 | 431,994 | ||||||||||
| HSBC Holdings PLC, 2.633%, 11/7/2025 (b) | 1,400,000 | 1,400,000 | ||||||||||
| JPMorgan Chase & Co.: | ||||||||||||
| 2.739%, 10/15/2030 | 1,000,000 | 997,420 | ||||||||||
| 3.782%, 2/1/2028 | 2,385,000 | 2,565,318 | ||||||||||
| Morgan Stanley, 4.431%, 1/23/2030 | 3,125,000 | 3,509,644 | ||||||||||
| Park Aerospace Holdings Ltd., 144A, 5.25%, 8/15/2022 | 800,000 | 851,960 | ||||||||||
| PayPal Holdings, Inc.: | ||||||||||||
| 2.65%, 10/1/2026 | 843,000 | 853,198 | ||||||||||
| 2.85%, 10/1/2029 | 230,000 | 231,373 | ||||||||||
| Prudential Financial, Inc., 4.35%, 2/25/2050 | 295,000 | 340,973 | ||||||||||
| REC Ltd., 144A, 5.25%, 11/13/2023 | 1,345,000 | 1,446,158 | ||||||||||
| Santander Holdings U.S.A., Inc., 144A, 3.244%, 10/5/2026 | 1,000,000 | 1,003,050 | ||||||||||
| State Street Corp., 4.141%, 12/3/2029 | 1,524,000 | 1,727,149 | ||||||||||
| Swiss Re Treasury U.S. Corp., 144A, 4.25%, 12/6/2042 | 750,000 | 861,357 | ||||||||||
| Synchrony Financial, 4.375%, 3/19/2024 | 630,000 | 670,056 | ||||||||||
| The Allstate Corp., 3.85%, 8/10/2049 | 330,000 | 367,856 | ||||||||||
| The Goldman Sachs Group, Inc.: | ||||||||||||
| 3.75%, 2/25/2026 | 1,255,000 | 1,335,123 | ||||||||||
| 3.814%, 4/23/2029 | 1,035,000 | 1,098,640 | ||||||||||
| Wells Fargo & Co.: | ||||||||||||
| 3.196%, 6/17/2027 | 970,000 | 1,004,930 | ||||||||||
| 4.15%, 1/24/2029 | 1,645,000 | 1,827,251 | ||||||||||
| 46,048,869 | ||||||||||||
| Health Care 3.4% | ||||||||||||
| AbbVie, Inc., 4.45%, 5/14/2046 | 240,000 | 248,052 | ||||||||||
| Alcon Finance Corp.: | ||||||||||||
| 144A, 2.75%, 9/23/2026 | 300,000 | 306,280 | ||||||||||
| 144A, 3.0%, 9/23/2029 | 650,000 | 663,363 | ||||||||||
| Allergan Funding SCS, 4.75%, 3/15/2045 | 300,000 | 319,304 | ||||||||||
| Anthem, Inc., 2.875%, 9/15/2029 | 380,000 | 376,380 | ||||||||||
| Boston Scientific Corp., 4.0%, 3/1/2029 | 632,000 | 703,646 | ||||||||||
| Bristol-Myers Squibb Co., 144A, 4.25%, 10/26/2049 | 880,000 | 1,029,138 | ||||||||||
| CVS Health Corp., 5.05%, 3/25/2048 | 900,000 | 1,037,368 | ||||||||||
| DH Europe Finance II Sarl: | ||||||||||||
| 0.75%, 9/18/2031 | EUR | 2,010,000 | 2,197,195 | |||||||||
| 2.6%, 11/15/2029 (b) | 280,000 | 282,888 | ||||||||||
| 3.4%, 11/15/2049 (b) | 530,000 | 541,032 | ||||||||||
| Eli Lilly & Co.: | ||||||||||||
| 3.95%, 3/15/2049 | 625,000 | 731,054 | ||||||||||
| 4.15%, 3/15/2059 | 140,000 | 167,514 | ||||||||||
| HCA, Inc.: | ||||||||||||
| 5.25%, 6/15/2026 | 1,900,000 | 2,126,154 | ||||||||||
| 5.375%, 9/1/2026 | 750,000 | 817,500 | ||||||||||
| 7.5%, 2/15/2022 | 2,565,000 | 2,845,867 | ||||||||||
| Merck & Co., Inc., 4.0%, 3/7/2049 | 789,000 | 942,078 | ||||||||||
| Pfizer, Inc., 4.2%, 9/15/2048 | 615,000 | 735,517 | ||||||||||
| Thermo Fisher Scientific, Inc., 2.6%, 10/1/2029 | 1,090,000 | 1,084,410 | ||||||||||
| UnitedHealth Group, Inc.: | ||||||||||||
| 2.875%, 8/15/2029 | 327,000 | 336,148 | ||||||||||
| 4.45%, 12/15/2048 | 244,000 | 287,967 | ||||||||||
| 17,778,855 | ||||||||||||
| Industrials 2.2% | ||||||||||||
| Avolon Holdings Funding Ltd., 144A, 5.125%, 10/1/2023 | 1,172,000 | 1,264,588 | ||||||||||
| BBA U.S. Holdings, Inc., 144A, 4.0%, 3/1/2028 (b) | 1,905,000 | 1,890,713 | ||||||||||
| CSX Corp.: | ||||||||||||
| 3.35%, 9/15/2049 | 500,000 | 494,212 | ||||||||||
| 4.25%, 11/1/2066 | 230,000 | 247,453 | ||||||||||
| Delta Air Lines, Inc., 4.375%, 4/19/2028 | 850,000 | 893,634 | ||||||||||
| FedEx Corp., 4.05%, 2/15/2048 | 729,000 | 719,920 | ||||||||||
| Ingersoll-Rand Luxembourg Finance SA, 3.8%, 3/21/2029 | 1,168,000 | 1,248,303 | ||||||||||
| Norfolk Southern Corp., 4.1%, 5/15/2049 | 445,000 | 503,659 | ||||||||||
| Parker-Hannifin Corp., 3.25%, 6/14/2029 | 370,000 | 388,185 | ||||||||||
| Prime Security Services Borrower LLC, 144A, 5.25%, 4/15/2024 | 2,380,000 | 2,436,525 | ||||||||||
| Union Pacific Corp., 4.5%, 9/10/2048 | 645,000 | 778,784 | ||||||||||
| United Technologies Corp., 4.625%, 11/16/2048 | 465,000 | 586,917 | ||||||||||
| 11,452,893 | ||||||||||||
| Information Technology 3.1% | ||||||||||||
| Apple, Inc.: | ||||||||||||
| 2.05%, 9/11/2026 | 1,005,000 | 1,001,174 | ||||||||||
| 3.75%, 9/12/2047 | 950,000 | 1,055,567 | ||||||||||
| Broadcom, Inc.: | ||||||||||||
| 144A, 3.125%, 4/15/2021 | 632,000 | 639,426 | ||||||||||
| 144A, 3.625%, 10/15/2024 | 1,200,000 | 1,232,887 | ||||||||||
| 144A, 4.75%, 4/15/2029 | 275,000 | 291,497 | ||||||||||
| Dell International LLC: | ||||||||||||
| 144A, 4.9%, 10/1/2026 | 2,208,000 | 2,395,660 | ||||||||||
| 144A, 5.875%, 6/15/2021 | 1,095,000 | 1,111,841 | ||||||||||
| Fair Isaac Corp., 144A, 5.25%, 5/15/2026 | 655,000 | 710,675 | ||||||||||
| Fiserv, Inc., 3.5%, 7/1/2029 | 1,390,000 | 1,470,373 | ||||||||||
| International Business Machines Corp., 3.5%, 5/15/2029 | 1,175,000 | 1,263,066 | ||||||||||
| Microsoft Corp., 3.7%, 8/8/2046 | 775,000 | 881,916 | ||||||||||
| NXP BV: | ||||||||||||
| 144A, 3.875%, 9/1/2022 | 1,845,000 | 1,907,903 | ||||||||||
| 144A, 3.875%, 6/18/2026 | 1,440,000 | 1,516,166 | ||||||||||
| Oracle Corp., 4.0%, 11/15/2047 | 605,000 | 678,142 | ||||||||||
| 16,156,293 | ||||||||||||
| Materials 0.9% | ||||||||||||
| AngloGold Ashanti Holdings PLC, 5.125%, 8/1/2022 | 750,000 | 790,837 | ||||||||||
| Corp. Nacional del Cobre de Chile, 144A, 3.0%, 9/30/2029 | 1,173,000 | 1,170,150 | ||||||||||
| DuPont de Nemours, Inc., 5.419%, 11/15/2048 | 285,000 | 354,608 | ||||||||||
| Reynolds Group Issuer, Inc., 6.875%, 2/15/2021 | 722,530 | 723,434 | ||||||||||
| SASOL Financing U.S.A. LLC, 5.875%, 3/27/2024 | 610,000 | 657,787 | ||||||||||
| Suzano Austria GmbH, 144A, 5.75%, 7/14/2026 | 1,000,000 | 1,109,010 | ||||||||||
| 4,805,826 | ||||||||||||
| Real Estate 1.7% | ||||||||||||
| American Tower Corp., (REIT), 3.8%, 8/15/2029 | 515,000 | 550,552 | ||||||||||
| Crown Castle International Corp.: | ||||||||||||
| (REIT), 3.8%, 2/15/2028 | 820,000 | 882,695 | ||||||||||
| (REIT), 5.25%, 1/15/2023 | 640,000 | 699,062 | ||||||||||
| Host Hotels & Resorts LP, (REIT), 3.875%, 4/1/2024 | 680,000 | 716,002 | ||||||||||
| Office Properties Income Trust: | ||||||||||||
| (REIT), 4.15%, 2/1/2022 | 395,000 | 404,170 | ||||||||||
| (REIT), 4.25%, 5/15/2024 | 395,000 | 405,826 | ||||||||||
| Omega Healthcare Investors, Inc.: | ||||||||||||
| (REIT), 4.5%, 4/1/2027 (c) | 235,000 | 253,763 | ||||||||||
| (REIT), 4.75%, 1/15/2028 | 265,000 | 289,701 | ||||||||||
| (REIT), 5.25%, 1/15/2026 | 700,000 | 775,909 | ||||||||||
| SBA Communications Corp.: | ||||||||||||
| (REIT), 4.0%, 10/1/2022 | 1,350,000 | 1,377,202 | ||||||||||
| (REIT), 4.875%, 9/1/2024 | 875,000 | 908,906 | ||||||||||
| Service Properties Trust, (REIT), 3.95%, 1/15/2028 | 500,000 | 482,174 | ||||||||||
| Welltower, Inc., (REIT), 3.1%, 1/15/2030 | 820,000 | 830,547 | ||||||||||
| 8,576,509 | ||||||||||||
| Utilities 2.9% | ||||||||||||
| Abu Dhabi National Energy Co. PJSC, 144A, 4.375%, 4/23/2025 | 1,226,000 | 1,314,885 | ||||||||||
| EDP Finance BV, 144A, 3.625%, 7/15/2024 | 1,555,000 | 1,607,393 | ||||||||||
| Enel Finance International NV, 144A, 4.25%, 9/14/2023 | 1,400,000 | 1,487,491 | ||||||||||
| NextEra Energy Capital Holdings, Inc.: | ||||||||||||
| 3.25%, 4/1/2026 | 218,000 | 228,950 | ||||||||||
| 3.5%, 4/1/2029 | 740,000 | 787,767 | ||||||||||
| NextEra Energy Operating Partners LP: | ||||||||||||
| 144A, 3.875%, 10/15/2026 | 1,750,000 | 1,745,625 | ||||||||||
| 144A, 4.25%, 7/15/2024 | 2,700,000 | 2,773,440 | ||||||||||
| Perusahaan Listrik Negara PT, 144A, 2.875%, 10/25/2025 | EUR | 2,526,000 | 3,096,492 | |||||||||
| Sempra Energy, 4.0%, 2/1/2048 | 680,000 | 712,092 | ||||||||||
| Southern California Edison Co., 3.7%, 8/1/2025 | 600,000 | 636,095 | ||||||||||
| Southern Power Co., Series F, 4.95%, 12/15/2046 | 745,000 | 828,905 | ||||||||||
| 15,219,135 | ||||||||||||
| Total Corporate Bonds (Cost $170,682,419) | 179,927,420 | |||||||||||
| Mortgage-Backed Securities Pass-Throughs 10.4% | ||||||||||||
| Federal Home Loan Mortgage Corp.: | ||||||||||||
| 3.0%, 11/1/2049 | 5,000,000 | 5,045,219 | ||||||||||
| 3.5%, with various maturities from 6/1/2028 until 7/1/2045 | 5,805,708 | 6,130,791 | ||||||||||
| 4.5%, 12/1/2040 | 774,666 | 839,928 | ||||||||||
| 5.5%, with various maturities from 6/1/2039 until 5/1/2041 | 1,249,630 | 1,391,778 | ||||||||||
| 6.0%, 11/1/2038 | 355,693 | 398,424 | ||||||||||
| 7.5%, 2/1/2035 | 154,253 | 177,179 | ||||||||||
| Federal National Mortgage Association: | ||||||||||||
| 3.0%, 12/1/2042 | 735,057 | 758,246 | ||||||||||
| 3.5%, with various maturities from 11/1/2042 until 12/1/2046 | 10,913,156 | 11,501,311 | ||||||||||
| 4.0%, with various maturities from 9/1/2040 until 5/1/2047 | 8,607,204 | 9,179,865 | ||||||||||
| 4.5%, with various maturities from 9/1/2039 until 11/1/2043 | 1,979,539 | 2,144,211 | ||||||||||
| 5.5%, with various maturities from 2/1/2031 until 2/1/2042 | 2,021,575 | 2,248,673 | ||||||||||
| 6.5%, with various maturities from 5/1/2023 until 4/1/2037 | 95,832 | 107,421 | ||||||||||
| Government National Mortgage Association: | ||||||||||||
| 3.0%, with various maturities from 7/15/2042 until 8/15/2042 | 834,320 | 862,123 | ||||||||||
| 4.0%, 11/1/2049 (b) | 6,000,000 | 6,239,062 | ||||||||||
| 4.5%, with various maturities from 7/15/2040 until 6/20/2049 | 6,146,234 | 6,465,591 | ||||||||||
| 5.5%, 6/15/2042 | 127,078 | 142,585 | ||||||||||
| 6.5%, with various maturities from 12/15/2023 until 7/15/2039 | 440,821 | 504,034 | ||||||||||
| Total Mortgage-Backed Securities Pass-Throughs (Cost $53,331,401) | 54,136,441 | |||||||||||
| Asset-Backed 9.1% | ||||||||||||
| Automobile Receivables 3.3% | ||||||||||||
| AmeriCredit Automobile Receivables Trust, "C", Series 2019-2, 2.74%, 4/18/2025 | 6,850,000 | 6,936,557 | ||||||||||
| Avis Budget Rental Car Funding AESOP LLC: | ||||||||||||
| "C", Series 2015-1A, 144A, 3.96%, 7/20/2021 | 2,200,000 | 2,208,254 | ||||||||||
| "C", Series 2019-1A, 144A, 4.53%, 3/20/2023 | 500,000 | 515,278 | ||||||||||
| CPS Auto Receivables Trust, "E", Series 2015-C, 144A, 6.54%, 8/16/2021 | 1,000,000 | 1,032,901 | ||||||||||
| Hertz Vehicle Financing II LP, "A", Series 2018-1A, 144A, 3.29%, 2/25/2024 | 5,200,000 | 5,333,717 | ||||||||||
| Santander Drive Auto Receivables Trust, "C", Series 2019-1, 3.42%, 4/15/2025 | 750,000 | 766,345 | ||||||||||
| 16,793,052 | ||||||||||||
| Credit Card Receivables 2.9% | ||||||||||||
| Chase Issuance Trust, "A1", Series 2018-A1, 1-month USD-LIBOR + 0.200%, 2.121% **, 4/17/2023 | 6,900,000 | 6,900,004 | ||||||||||
| Citibank Credit Card Issuance Trust, "A7", Series 2017-A7, 1-month USD-LIBOR + 0.370%, 2.348% **, 8/8/2024 | 4,300,000 | 4,300,864 | ||||||||||
| World Financial Network Credit Card Master Trust, "M", Series 2016-A, 2.33%, 4/15/2025 | 4,000,000 | 3,990,590 | ||||||||||
| 15,191,458 | ||||||||||||
| Home Equity Loans 0.0% | ||||||||||||
| CIT Home Equity Loan Trust, "AF6", Series 2002-1, 6.2%, 2/25/2030 | 47,826 | 48,924 | ||||||||||
| Miscellaneous 2.9% | ||||||||||||
| Babson CLO Ltd., "A2R", Series 2016-1A, 144A, 3-month USD-LIBOR + 1.450%, 3.384% **, 7/23/2030 | 3,300,000 | 3,260,449 | ||||||||||
| Dell Equipment Finance Trust: | ||||||||||||
| "C", Series 2017-2, 144A, 2.73%, 10/24/2022 | 750,000 | 753,580 | ||||||||||
| "D", Series 2017-1, 144A, 3.44%, 4/24/2023 | 980,000 | 982,921 | ||||||||||
| GMF Floorplan Owner Revolving Trust, "C", Series 2019-1, 144A, 3.06%, 4/15/2024 | 2,510,000 | 2,548,171 | ||||||||||
| Hilton Grand Vacations Trust, "B", Series 2014-AA, 144A, 2.07%, 11/25/2026 | 469,446 | 467,441 | ||||||||||
| JPMorgan Mortgage Acquisition Trust, "AF4", Series 2007-CH1, 4.893%, 11/25/2036 | 1,334,085 | 1,359,491 | ||||||||||
| MVW Owner Trust, "A", Series 2019-1A, 144A, 2.89%, 11/20/2036 | 4,698,518 | 4,784,023 | ||||||||||
| NRZ Excess Spread-Collateralized Notes, "D", Series 2018-PLS1, 144A, 4.374%, 1/25/2023 | 938,279 | 944,275 | ||||||||||
| 15,100,351 | ||||||||||||
| Total Asset-Backed (Cost $46,784,133) | 47,133,785 | |||||||||||
| Commercial Mortgage-Backed Securities 6.0% | ||||||||||||
| 20 Times Square Trust, "C", Series 2018-20TS, 144A, 3.1% **, 5/15/2035 | 1,500,000 | 1,531,743 | ||||||||||
| BAMLL Commercial Mortgage Securities Trust, "C", Series 2018-DSNY, 144A, 1-month USD-LIBOR + 1.350%, 3.271% **, 9/15/2034 | 667,000 | 666,770 | ||||||||||
| Braemar Hotels & Resorts Trust Prime, "C", Series 2018-PRME, 144A, 1-month USD-LIBOR + 1.250%, 3.164% **, 6/15/2035 | 935,000 | 931,550 | ||||||||||
| BX Commercial Mortgage Trust, "D", Series 2018-IND, 144A, 1-month USD-LIBOR + 1.300%, 3.214% **, 11/15/2035 | 588,959 | 590,068 | ||||||||||
| BXP Trust, "B", Series 2017-CQHP, 144A, 1-month USD-LIBOR + 1.100%, 3.014% **, 11/15/2034 | 1,980,000 | 1,972,563 | ||||||||||
| Citigroup Commercial Mortgage Trust, "D", Series 2019-PRM, 144A, 4.35%, 5/10/2036 | 1,275,000 | 1,338,449 | ||||||||||
| CSAIL Commercial Mortgage Trust: | ||||||||||||
| "A4", Series 2015-C4, 3.808%, 11/15/2048 | 1,000,000 | 1,079,902 | ||||||||||
| "B", Series 2019-C15, 4.476%, 3/15/2052 | 2,000,000 | 2,237,402 | ||||||||||
| DBWF Mortgage Trust, "C", Series 2018-GLKS, 144A, 1-month USD-LIBOR + 1.750%, 3.596% **, 11/19/2035 | 2,250,000 | 2,251,391 | ||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates: | ||||||||||||
| "X1P", Series KL05, Interest Only, 0.892% **, 6/25/2029 | 22,500,000 | 1,675,235 | ||||||||||
| "X1", Series K043, Interest Only, 0.538% **, 12/25/2024 | 15,137,720 | 369,574 | ||||||||||
| "X1", Series K054, Interest Only, 1.174% **, 1/25/2026 | 5,425,055 | 340,787 | ||||||||||
| GMAC Commercial Mortgage Securities, Inc., "G", Series 2004-C1, 144A, 5.455%, 3/10/2038 | 2,674,892 | 2,557,795 | ||||||||||
| GS Mortgage Securities Corp., Trust, "C", Series 2018-FBLU, 144A, 1-month USD-LIBOR + 1.600%, 3.521% **, 11/15/2035 | 1,750,000 | 1,751,071 | ||||||||||
| GS Mortgage Securities Trust, "AAB", Series 2014-GC18, 3.648%, 1/10/2047 | 145,693 | 150,111 | ||||||||||
| MTRO Commercial Mortgage Trust, "C", Series 2019-TECH, 144A, 1-month USD-LIBOR + 1.300%, 3.221% **, 12/15/2033 | 500,000 | 498,901 | ||||||||||
| Natixis Commercial Mortgage Securities Trust, "A", Series 2018-OSS, 144A, 4.177%, 12/15/2037 | 750,000 | 837,036 | ||||||||||
| NYT Mortgage Trust, "B", Series 2019-NYT, 144A, 1-month USD-LIBOR + 1.400%, 3.314% **, 11/15/2035 | 1,400,000 | 1,405,703 | ||||||||||
| UBS Commercial Mortgage Trust: | ||||||||||||
| "XA", Series 2017-C7, Interest Only, 1.06% **, 12/15/2050 | 6,201,551 | 403,341 | ||||||||||
| "AS", Series 2017-C7, 4.061%, 12/15/2050 | 2,000,000 | 2,175,671 | ||||||||||
| "B", Series 2018-C13, 4.786%, 10/15/2051 | 2,000,000 | 2,261,599 | ||||||||||
| US 2018-USDC, "C", Series 2018-USDC, 144A, 4.428%, 5/13/2038 | 890,000 | 981,664 | ||||||||||
| Wells Fargo Commercial Mortgage Trust: | ||||||||||||
| "A5", Series 2015-LC20, 3.184%, 4/15/2050 | 1,000,000 | 1,046,002 | ||||||||||
| "A4", Series 2015-SG1, 3.789%, 9/15/2048 | 1,500,000 | 1,614,159 | ||||||||||
| "B", Series 2016-C33, 4.506%, 3/15/2059 | 500,000 | 544,181 | ||||||||||
| Total Commercial Mortgage-Backed Securities (Cost $30,424,497) | 31,212,668 | |||||||||||
| Collateralized Mortgage Obligations 10.3% | ||||||||||||
| Alternative Loan Trust, "1A4", Series 2006-43CB, 6.0%, 2/25/2037 | 154,480 | 127,940 | ||||||||||
| Banc of America Mortgage Trust, "2A2", Series 2004-A, 4.799% **, 2/25/2034 | 111,045 | 113,068 | ||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, "2A1", Series 2005-11, 5.095% **, 12/25/2035 | 242,406 | 251,391 | ||||||||||
| COLT Funding LLC, "A1", Series 2019-1, 144A, 3.705%, 3/25/2049 | 1,127,773 | 1,138,822 | ||||||||||
| Connecticut Avenue Securities Trust: | ||||||||||||
| "1M2", Series 2019-R03, 144A, 1-month USD-LIBOR + 2.150%, 3.973% ** , 9/25/2031 | 658,000 | 660,166 | ||||||||||
| "1M2", Series 2019-R02, 144A, 1-month USD-LIBOR + 2.300%, 4.123% ** , 8/25/2031 | 1,143,333 | 1,150,258 | ||||||||||
| CHL Mortgage Pass Through Trust, "2A5", Series 2004-13, 5.75%, 8/25/2034 | 211,187 | 213,536 | ||||||||||
| CSFB Mortgage-Backed Pass-Through Certificates, "10A3", Series 2005-10, 6.0%, 11/25/2035 | 209,915 | 106,193 | ||||||||||
| Fannie Mae Connecticut Avenue Securities: | ||||||||||||
| "1M1", Series 2016-C03, 1-month USD-LIBOR + 2.000%, 3.823% ** , 10/25/2028 | 60,973 | 61,116 | ||||||||||
| "1M2", Series 2018-C06, 1-month USD-LIBOR + 2.000%, 3.823% ** , 3/25/2031 | 833,333 | 834,799 | ||||||||||
| "1M2", Series 2018-C03, 1-month USD-LIBOR + 2.150%, 3.973% ** , 10/25/2030 | 1,000,000 | 1,005,394 | ||||||||||
| "1M2", Series 2018-C01, 1-month USD-LIBOR + 2.250%, 4.073% ** , 7/25/2030 | 1,000,000 | 1,009,708 | ||||||||||
| "1M2", Series 2018-C05, 1-month USD-LIBOR + 2.350%, 4.173% ** , 1/25/2031 | 2,000,000 | 2,019,822 | ||||||||||
| Federal Home Loan Mortgage Corp.: | ||||||||||||
| "PI", Series 3940, Interest Only, 4.0%, 2/15/2041 | 1,516,697 | 165,456 | ||||||||||
| "UA", Series 4298, 4.0%, 2/15/2054 | 161,505 | 162,831 | ||||||||||
| "6", Series 233, Interest Only, 4.5%, 8/15/2035 | 206,219 | 32,663 | ||||||||||
| "PI", Series 3843, Interest Only, 4.5%, 5/15/2038 | 583,238 | 16,396 | ||||||||||
| "C32", Series 303, Interest Only, 4.5%, 12/15/2042 | 1,871,588 | 335,257 | ||||||||||
| "C31", Series 303, Interest Only, 4.5%, 12/15/2042 | 11,157,428 | 1,987,907 | ||||||||||
| "A", Series 172, Interest Only, 6.5%, 1/1/2024 | 125,263 | 12,085 | ||||||||||
| Federal National Mortgage Association: | ||||||||||||
| "AL", Series 2014-11, 2.5%, 11/25/2042 | 2,000,000 | 2,002,486 | ||||||||||
| "KM", Series 2012-146, 3.0%, 1/25/2043 | 1,775,000 | 1,851,613 | ||||||||||
| "ZL", Series 2017-55, 3.0%, 10/25/2046 | 3,753,451 | 3,700,369 | ||||||||||
| "PZ", Series 2016-9, 3.5%, 3/25/2046 | 6,415,312 | 7,303,605 | ||||||||||
| "CE", Series 2015-60, 3.75%, 8/25/2045 | 2,082,000 | 2,337,367 | ||||||||||
| "4", Series 406, Interest Only, 4.0%, 9/25/2040 | 2,298,785 | 391,313 | ||||||||||
| Freddie Mac Structured Agency Credit Risk Debt Notes: | ||||||||||||
| "M2", Series 2019-DNA2, 144A, 1-month USD-LIBOR + 2.450%, 4.273% ** , 3/25/2049 | 2,530,000 | 2,548,246 | ||||||||||
| "M2", Series 2017-DNA3, 1-month USD-LIBOR + 2.500%, 4.323% ** , 3/25/2030 | 1,000,000 | 1,020,019 | ||||||||||
| "M2", Series 2019-DNA1, 144A, 1-month USD-LIBOR + 2.650%, 4.473% ** , 1/25/2049 | 225,000 | 227,922 | ||||||||||
| Government National Mortgage Association: | ||||||||||||
| "BL", Series 2013-19, 2.5%, 2/20/2043 | 1,120,820 | 1,157,203 | ||||||||||
| "LM", Series 2015-65, 3.0%, 5/20/2045 | 2,204,000 | 2,319,207 | ||||||||||
| "DI", Series 2014-102, Interest Only, 3.5%, 7/16/2029 | 6,255,340 | 496,482 | ||||||||||
| "GI", Series 2014-146, Interest Only, 3.5%, 9/20/2029 | 5,106,185 | 536,557 | ||||||||||
| "HZ", Series 2012-56, 3.5%, 6/20/2040 | 1,126,497 | 1,248,950 | ||||||||||
| "MZ", Series 2014-27, 3.5%, 12/20/2043 | 3,215,921 | 3,591,659 | ||||||||||
| "PI", Series 2015-40, Interest Only, 4.0%, 4/20/2044 | 1,405,645 | 118,181 | ||||||||||
| "HI", Series 2015-77, Interest Only, 4.0%, 5/20/2045 | 2,288,371 | 385,509 | ||||||||||
| "IV", Series 2009-69, Interest Only, 5.5%, 8/20/2039 | 1,047,704 | 162,809 | ||||||||||
| "IN", Series 2009-69, Interest Only, 5.5%, 8/20/2039 | 639,236 | 99,517 | ||||||||||
| "PI", Series 2009-76, Interest Only, 6.0%, 3/16/2039 | 210,037 | 7,359 | ||||||||||
| "IJ", Series 2009-75, Interest Only, 6.0%, 8/16/2039 | 480,522 | 73,445 | ||||||||||
| "SB", Series 2014-81, 16.400% minus 4 x 1-month USD-LIBOR, 8.274% ** , 6/20/2044 | 636,115 | 722,773 | ||||||||||
| JPMorgan Mortgage Trust, “2A1”, Series 2006-A2, 4.21% **, 4/25/2036 | 554,922 | 548,508 | ||||||||||
| Merrill Lynch Mortgage Investors Trust, "2A", Series 2003-A6, 4.163% **, 10/25/2033 | 218,888 | 223,285 | ||||||||||
| New Residential Mortgage Loan: | ||||||||||||
| "A1", Series 2019-NQM3, 144A, 2.802%, 7/25/2049 | 1,378,385 | 1,382,999 | ||||||||||
| "A1", Series 2019-NQM2, 144A, 3.6%, 4/25/2049 | 1,810,042 | 1,834,321 | ||||||||||
| STACR Trust: | ||||||||||||
| "M2", Series 2018-DNA3, 144A, 1-month USD-LIBOR + 2.100%, 3.923% ** , 9/25/2048 | 1,081,081 | 1,084,933 | ||||||||||
| "M2", Series 2018-DNA2, 144A, 1-month USD-LIBOR + 2.150%, 3.973% ** , 12/25/2030 | 1,400,000 | 1,410,688 | ||||||||||
| Verus Securitization Trust, "A1", Series 2019-INV1, 144A, 3.402%, 12/25/2059 | 2,570,219 | 2,599,060 | ||||||||||
| Wells Fargo Mortgage-Backed Securities Trust: | ||||||||||||
| "2A3", Series 2004-EE, 4.91% **, 12/25/2034 | 112,775 | 115,076 | ||||||||||
| "2A16", Series 2005-AR10, 4.927% **, 6/25/2035 | 213,006 | 218,166 | ||||||||||
| Total Collateralized Mortgage Obligations (Cost $47,753,874) | 53,124,435 | |||||||||||
| Government & Agency Obligations 22.0% | ||||||||||||
| Other Government Related (d) 0.2% | ||||||||||||
| Novatek OAO, 144A, 6.604%, 2/3/2021 | 900,000 | 947,826 | ||||||||||
| Sovereign Bonds 1.5% | ||||||||||||
| Perusahaan Penerbit SBSN Indonesia III, 144A, 4.45%, 2/20/2029 | 750,000 | 826,875 | ||||||||||
| Republic of Argentina-Inflation Linked Bond, 5.83%, 12/31/2033 | ARS | 479 | 50 | |||||||||
| Republic of Indonesia, 4.45%, 2/11/2024 | 680,000 | 729,618 | ||||||||||
| Republic of Kazakhstan, 144A, 1.55%, 11/9/2023 | EUR | 2,585,000 | 3,020,571 | |||||||||
| Republic of South Africa, 4.875%, 4/14/2026 | 1,710,000 | 1,762,801 | ||||||||||
| State of Qatar: | ||||||||||||
| 144A, 3.25%, 6/2/2026 | 700,000 | 734,076 | ||||||||||
| 144A, 4.0%, 3/14/2029 | 500,000 | 554,379 | ||||||||||
| 7,628,370 | ||||||||||||
| U.S. Government Sponsored Agency 0.4% | ||||||||||||
| Federal Home Loan Mortgage Corp., 6.75%, 3/15/2031 | 1,500,000 | 2,217,945 | ||||||||||
| U.S. Treasury Obligations 19.9% | ||||||||||||
| U.S. Treasury Bills: | ||||||||||||
| 1.564% ***, 9/10/2020 | 1,000,000 | 986,959 | ||||||||||
| 1.595% ***, 9/10/2020 | 875,000 | 863,589 | ||||||||||
| 1.763% ***, 7/16/2020 (e) | 2,330,000 | 2,304,535 | ||||||||||
| U.S. Treasury Bonds: | ||||||||||||
| Zero Coupon, 8/15/2042 | 1,325,000 | 804,487 | ||||||||||
| 2.875%, 5/15/2049 | 14,827,000 | 17,084,643 | ||||||||||
| 3.0%, 2/15/2049 | 16,573,000 | 19,538,013 | ||||||||||
| U.S. Treasury Notes: | ||||||||||||
| 1.625%, 8/15/2029 | 34,988,000 | 34,778,892 | ||||||||||
| 2.25%, 4/30/2024 | 12,485,000 | 12,873,693 | ||||||||||
| 2.375%, 5/15/2029 | 13,028,000 | 13,814,260 | ||||||||||
| 103,049,071 | ||||||||||||
| Total Government & Agency Obligations (Cost $111,096,604) | 113,843,212 | |||||||||||
| Commercial Paper 0.3% | ||||||||||||
| Materials | ||||||||||||
| Nationwide Building Society, 2.23% **, 3/12/2020 (Cost $1,488,065) | 1,500,000 | 1,489,870 | ||||||||||
| Shares | Value ($) | |||||||||||
| Warrants 0.0% | ||||||||||||
| Materials | ||||||||||||
| Hercules Trust II, Expiration Date 3/31/2029* (f) (Cost $70,220) | 315 | 10,065 | ||||||||||
| Securities Lending Collateral 0.0% | ||||||||||||
| DWS Government & Agency Securities Portfolio "DWS Government Cash Institutional Shares", 1.72% (g) (h) (Cost $256,300) | 256,300 | 256,300 | ||||||||||
| Cash Equivalents 7.3% | ||||||||||||
| DWS Central Cash Management Government Fund, 1.82% (g) | 37,720,802 | 37,720,802 | ||||||||||
| DWS ESG Liquidity Fund "Capital Shares", 2.01% (g) | 3,367 | 3,368 | ||||||||||
| Total Cash Equivalents (Cost $37,724,169) | 37,724,170 | |||||||||||
| % of Net Assets | Value ($) | |||||||||||
| Total Investment Portfolio (Cost $499,611,682) | 100.1 | 518,858,366 | ||||||||||
| Other Assets and Liabilities, Net | (0.1) | (733,123) | ||||||||||
| Net Assets | 100.0 | 518,125,243 | ||||||||||
| For information on the Fund's policies regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements. | |
| A summary of the Fund's transactions with affiliated investments during the period ended October 31, 2019 are as follows: | |
| Value ($) at 1/31/2019 | Purchases Cost ($) | Sales Proceeds ($) | Net Realized Gain/ (Loss) ($) | Net Change in Unrealized Appreci- ation (Deprecia- tion) ($) | Income ($) | Capital Gain Distribu- tions ($) | Number of Shares at 10/31/2019 | Value ($) at 10/31/2019 | |||||||||
| Securities Lending Collateral 0.0% | |||||||||||||||||
| DWS Government & Agency Securities Portfolio "DWS Government Cash Institutional Shares", 1.72% (g) (h) | |||||||||||||||||
| 1,975,603 | — | 1,719,303 (i) | — | — | 25,162 | — | 256,300 | 256,300 | |||||||||
| Cash Equivalents 7.3% | |||||||||||||||||
| DWS Central Cash Management Government Fund, 1.82% (g) | |||||||||||||||||
| 7,118,202 | 187,939,649 | 157,337,049 | — | — | 195,092 | — | 37,720,802 | 37,720,802 | |||||||||
| DWS ESG Liquidity Fund “Capital Shares”, 2.01% (g) | |||||||||||||||||
| 3,304 | 64 | — | — | — | 62 | — | 3,367 | 3,368 | |||||||||
| 9,097,109 | 187,939,713 | 159,056,352 | — | — | 220,316 | — | 37,980,469 | 37,980,470 | |||||||||
| * | Non-income producing security. |
| ** | Variable or floating rate security. These securities are shown at their current rate as of October 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated within the description above. Certain variable rate securities are not based on a published reference rate and spread but adjust periodically based on current market conditions, prepayment of underlying positions and/or other variables. |
| *** | Annualized yield at time of purchase; not a coupon rate. |
| (a) | Principal amount stated in U.S. dollars unless otherwise noted. |
| (b) | When-issued, delayed delivery or forward commitment securities included. |
| (c) | All or a portion of these securities were on loan. In addition, “Other Assets and Liabilities, Net” may include pending sales that are also on loan. The value of securities loaned at October 31, 2019 amounted to $251,603, which is 0.05% of net assets. |
| (d) | Government-backed debt issued by financial companies or government sponsored enterprises. |
| (e) | At October 31, 2019, this security has been pledged, in whole or in part, to cover initial margin requirements for open futures contracts. |
| (f) | Investment was valued using significant unobservable inputs. |
| (g) | Affiliated fund managed by DWS Investment Management Americas, Inc. The rate shown is the annualized seven-day yield at period end. |
| (h) | Represents cash collateral held in connection with securities lending. Income earned by the Fund is net of borrower rebates. |
| (i) | Represents the net increase (purchase cost) or decrease (sales proceeds) in the amount invested in cash collateral for the period ended October 31, 2019. |
| 144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |
| CLO: Collateralized Loan Obligation | |
| Interest Only: Interest Only (IO) bonds represent the "interest only" portion of payments on a pool of underlying mortgages or mortgage-backed securities. IO securities are subject to prepayment risk of the pool of underlying mortgages. | |
| LIBOR: London Interbank Offered Rate | |
| PJSC: Public Joint Stock Company | |
| REG S: Securities sold under Regulation S may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |
| REIT: Real Estate Investment Trust | |
| SBSN: Surat Berharga Syariah Negara (Islamic Based Government Securities) | |
| Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets. Effective maturities of these investments may be shorter than stated maturities due to prepayments. Some separate investments in the Federal Home Loan Mortgage Corp., Federal National Mortgage Association and Government National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in this investment portfolio. | |
| At October 31, 2019, open futures contracts purchased were as follows: | |
| Futures | Currency | Expiration Date | Contracts | Notional Amount ($) | Notional Value ($) | Unrealized (Depreciation) ($) | ||||||||||||||||
| Ultra 10 Year U.S. Treasury Note | USD | 12/19/2019 | 59 | 8,432,324 | 8,384,454 | (47,870) | ||||||||||||||||
| At October 31, 2019, open futures contracts sold were as follows: |
| Futures | Currency | Expiration Date | Contracts | Notional Amount ($) | Notional Value ($) | Unrealized Appreciation ($) | ||||||||||||||||
| Ultra Long U.S. Treasury Bond | USD | 12/19/2019 | 46 | 8,975,627 | 8,728,500 | 247,127 | ||||||||||||||||
| At October 31, 2019, open credit default swap contracts sold were as follows: |
| Bilateral Swaps | ||||||||||||
| Underlying Reference Obligation | Fixed Cash Flows Received/ Frequency | Counterparty/Expiration Date | Notional Amount (j) | Currency | Value ($) | Upfront Payments Received ($) | Unrealized Appreciation ($) | |||||
Markit Commercial Mortgage Backed Securities Index Series 12 | 2.0%/ | Morgan Stanley | 2,500,000 | USD | (27,058) |
| (76,338) |
| 49,280 | |||
| (j) | The maximum potential amount of future undiscounted payments that the Fund could be required to make under a credit default swap contract would be the notional amount of the contract. These potential amounts would be partially offset by any recovery values of the referenced debt obligation or net amounts received from the settlement of buy protection credit default swap contracts entered into by the Fund for the same referenced debt obligation, if any. |
| At October 31, 2019, the Fund had the following open forward foreign currency contracts: | |
| Contracts to Deliver | In Exchange For | Settlement Date | Unrealized Depreciation ($) | Counterparty | ||||||||||||||
| EUR | 9,600,000 | USD | 10,609,057 | 11/21/2019 | (112,616) | State Street Bank and Trust | ||||||||||||
| EUR | 2,000,000 | USD | 2,210,951 | 12/13/2019 | (26,512) | Morgan Stanley | ||||||||||||
| Total unrealized depreciation | (139,128) | |||||||||||||||||
| Currency Abbreviations | |||
| ARS | Argentine Peso | ||
| EUR | Euro | ||
| USD | United States Dollar | ||
Fair Value Measurements
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities.
The following is a summary of the inputs used as of October 31, 2019 in valuing the Fund's investments.
| Assets | Level 1 | Level 2 | Level 3 | Total | |||||
| Fixed Income Investments(k) | |||||||||
| Corporate Bonds | $ | — | $ | 179,927,420 | $ | — | $ | 179,927,420 | |
| Mortgage-Backed Securities Pass-Throughs | — | 54,136,441 | — | 54,136,441 | |||||
| Asset-Backed | — | 47,133,785 | — | 47,133,785 | |||||
| Commercial Mortgage-Backed Securities | — | 31,212,668 | — | 31,212,668 | |||||
| Collateralized Mortgage Obligations | — | 53,124,435 | — | 53,124,435 | |||||
| Government & Agency Obligations | — | 113,843,212 | — | 113,843,212 | |||||
| Commercial Paper | — | 1,489,870 | — | 1,489,870 | |||||
| Warrants | — | — | 10,065 | 10,065 | |||||
| Short-Term Investments(k) | 37,980,470 | — | — | 37,980,470 | |||||
| Derivatives(l) | |||||||||
| Futures Contracts | 247,127 | — | — | 247,127 | |||||
| Credit Default Swap Contracts | — | 49,280 | — | 49,280 | |||||
| Total | $ | 38,227,597 | $ | 480,917,111 | $ | 10,065 | $ | 519,154,773 | |
| Liabilities | Level 1 | Level 2 | Level 3 | Total | |||||
| Derivatives(l) | |||||||||
| Futures Contracts | $ | (47,870) | $ | — | $ | — | $ | (47,870) | |
| Forward Foreign Currency Contracts | — | (139,128) | — | (139,128) | |||||
| Total | $ | (47,870) | $ | (139,128) | $ | — | $ | (186,998) | |
| (k) | See Investment Portfolio for additional detailed categorizations. |
| (l) | Derivatives include unrealized appreciation (depreciation) on open futures contracts, credit default swap contracts and forward foreign currency contracts. |
Derivatives
The following table presents, by major type of derivative contract, the unrealized appreciation (depreciation) of the Fund's derivative instruments as of October 31, 2019 categorized by the primary underlying risk exposure.
Primary Underlying Risk Disclosure | Futures | Swaps | Forward Currency Contracts |
| Credit Contracts | $ — | $ 49,280 | $ — |
| Interest Rate Contracts | $ 199,257 | $ — | $ — |
| Foreign Exchange Contracts | $ — | $ — | $ (139,128) |
